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March 4, 2008 |
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COLTRANE CLO: Fitch Cuts Ratings to "CC" on 4 Classes of Notes Fitch Ratings has downgraded 4 classes of notes issued by Coltrane CLO p.l.c. All classes remain on Rating Watch Negative by Fitch. These rating actions are effective immediately: -- EUR26,000,000 class B notes to 'CC' from 'CCC'; -- EUR45,000,000 class C notes to 'CC' from 'CCC'; -- EUR1,750,000 class D-1 notes to 'CC' from 'CCC'; -- EUR2,000,000 class D-2 notes to 'CC' from 'CCC'. On Feb. 25, 2008, Fitch received notice that Coltrane CLO p.l.c. had entered into an Event of Default as a result of a Threshold Value Event which remained uncured for five business days. Fitch has not received confirmation that the Controlling Class or the Trustee plan to liquidate the underlying loan collateral in the immediate near term. In the event that the Controlling Class or the Trustee chooses to liquidate the underlying loan collateral, subsequent rating action may be taken. Of note, since the last rating action on Feb. 20, 2008 in which Fitch downgraded 24 classes from nine total rate of return collateralized loan obligations, loan prices in the secondary market, as reported by the Loan Syndications and Trading Association, have remained relatively stable, slightly increasing to 86.84 as of Feb. 26, 2008 from 86.27 as of Feb. 15, 2008. As a result, the cushions in the transactions which have not yet breached their TRS termination or liquidation triggers remain relatively stable. Also, Fitch has confirmed that three transactions have enacted amendments or entered into agreements outside of the transaction to avoid breaching a termination trigger, or to prevent a liquidation of the portfolio in the case where a termination trigger has been breached. |
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